public static double ValueSwap(IRSwap swap, Date valueDate, IDiscountingSource curve)
{
// Get the required objects off the map
var index = swap.GetFloatingIndex();
// Calculate the first fixing off the curve to use at all past dates.
var df1 = curve.GetDF(valueDate);
var laterDate = valueDate.AddTenor(index.Tenor);
var df2 = curve.GetDF(laterDate);
var dt = (laterDate - valueDate) / 365.0;
var rate = (df1 / df2 - 1) / dt;
//Set up the valuation engine.
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(curve, index,
new FloatingRateFixingCurve1Rate(valueDate, rate, index));
var curveSim = new DeterministicCurves(curve);
curveSim.AddRateForecast(forecastCurve);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { swap }, valueDate);
return(value);
}
public static double ValueZARSwap1Curve([ExcelArgument(Description = "The name of the swap.")]
IRSwap swap,
[ExcelArgument(Description =
"The date on which valuation is required. Cannot be before the anchor date of the curve.")]
Date valueDate,
[ExcelArgument(Description =
"The discounting curve. Will also be used for forecasting Jibar and providing the most recent required Jibar fix.")]
IDiscountingSource curve)
{
// Get the required objects off the map
var index = swap.GetFloatingIndex();
// Calculate the first fixing off the curve to use at all past dates.
var df1 = curve.GetDF(valueDate);
var laterDate = valueDate.AddTenor(index.Tenor);
var df2 = curve.GetDF(laterDate);
var dt = (laterDate - valueDate) / 365.0;
var rate = (df1 / df2 - 1) / dt;
//Set up the valuation engine.
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(curve, index,
new FloatingRateFixingCurve1Rate(valueDate, rate, index));
var curveSim = new DeterministicCurves(curve);
curveSim.AddRateForecast(forecastCurve);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { swap }, valueDate);
return(value);
}
public void TestFixedLegsZARUSD()
{
Date[] cfDates = { new Date(2016, 12, 23), new Date(2017, 03, 23) };
var legZAR = new FixedLeg(TestHelpers.ZAR, cfDates, new double[] { -16000000, -16000000 }, new[] { 0.07, 0.07 },
new[] { 0.25, 0.25 });
var legUSD = new FixedLeg(TestHelpers.USD, cfDates, new double[] { 1000000, 1000000 }, new[] { 0.01, 0.01 },
new[] { 0.25, 0.25 });
// Set up the model
var valueDate = new Date(2016, 9, 23);
Date[] dates = { new Date(2016, 9, 23), new Date(2026, 9, 23) };
double[] rates = { 0.0725, 0.0725 };
double[] basisRates = { 0.0735, 0.0735 };
double[] usdRates = { 0.01, 0.012 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IDiscountingSource zarBasis = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, basisRates);
IDiscountingSource usdCurve = new DatesAndRates(TestHelpers.USD, valueDate, dates, usdRates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
IFXSource fxSource = new FXForecastCurve(TestHelpers.USDZAR, 13.66, usdCurve, zarBasis);
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
curveSim.AddFXForecast(fxSource);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { legZAR, legUSD }, valueDate);
var refValue = -477027.31; // See GeneralSwapTest.xlsx
Assert.AreEqual(refValue, value, 0.01);
}
public void TestSwap()
{
// Make the swap
var rate = 0.08;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.FromYears(5);
var swap = TestHelpers.CreateZARSwap(rate, payFixed, notional, startDate, tenor, TestHelpers.Jibar3M);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { swap }, valueDate);
var refValue = -41838.32; // See RateProductTest.xlsx
Assert.AreEqual(refValue, value, 0.01);
}
public void TestManySwaps()
{
Debug.StartTimer();
var allSwaps = GetListOfSwaps();
Debug.WriteLine("Create swaps took: " + Debug.ElapsedTime());
// Set up the model
var valueDate = new Date(2016, 11, 21);
Date[] datesLong =
{
new Date(2016, 11, 21), new Date(2018, 11, 21), new Date(2020, 11, 21), new Date(2022, 11, 21),
new Date(2024, 11, 21), new Date(2047, 11, 21)
};
double[] ratesLong = { 0.07, 0.071, 0.072, 0.073, 0.074, 0.08 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, datesLong, ratesLong);
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(discountCurve, TestHelpers.Jibar3M,
new FloatingRateFixingCurve1Rate(valueDate, 0.07, TestHelpers.Jibar3M));
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
Debug.StartTimer();
var value = coordinator.Value(allSwaps, valueDate);
Debug.WriteLine("Value took: " + Debug.ElapsedTime());
}
public void TestFloatLeg()
{
// Make the reference swap
var rate = 0.0;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.FromYears(1);
var swap = TestHelpers.CreateZARSwap(rate, payFixed, notional, startDate, tenor, TestHelpers.Jibar3M);
// Make a FloatLeg
var resetDates = new Date[4];
var paymentDates = new Date[4];
var accrualFractions = new double[4];
var runningDate = new Date(2016, 9, 17);
for (var i = 0; i < 4; i++)
{
resetDates[i] = new Date(runningDate);
paymentDates[i] = resetDates[i].AddMonths(3);
accrualFractions[i] = (paymentDates[i] - resetDates[i]) / 365.0;
runningDate = paymentDates[i];
}
var floatLeg = new FloatLeg(TestHelpers.ZAR, paymentDates, new[] { 1e6, 1e6, 1e6, 1e6 },
resetDates,
new[] { TestHelpers.Jibar3M, TestHelpers.Jibar3M, TestHelpers.Jibar3M, TestHelpers.Jibar3M },
new double[] { 0, 0, 0, 0 }, accrualFractions);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
// Run the valuation
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
var swapValue = coordinator.Value(new Product[] { swap }, valueDate);
var floatLegValue = coordinator.Value(new Product[] { floatLeg }, valueDate);
Assert.AreEqual(swapValue, floatLegValue, 0.01);
}
public void TestDynamicCallFromStringFRA()
{
var source =
@"Date date = new Date(2017, 08, 28);
FloatRateIndex jibar = new FloatRateIndex(""ZAR.JIBAR.3M"", new Currency(""ZAR""), ""JIBAR"", Tenor.FromMonths(3));
double dt = 91.0/365.0;
double fixedRate = 0.071;
double notional = 1000000.0;
Currency currency = new Currency(""ZAR"");
public override List<Cashflow> GetCFs()
{
double reset = Get(jibar, date);
double cfAmount = notional * (reset - fixedRate)*dt/(1+dt*reset);
return new List<Cashflow>() { new Cashflow(date, cfAmount, currency) };
}";
// Make a product at runtime
var runtimeProduct = RuntimeProduct.CreateFromString("MyEuropeanOption", source);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
// Run the valuation
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
var fraValue = coordinator.Value(new[] { runtimeProduct }, valueDate);
var date = new Date(2017, 08, 28);
var t = (date - valueDate) / 365.0;
var dt = 91.0 / 365.0;
var fixedRate = 0.071;
var notional = 1000000.0;
var fwdRate = 0.07;
var refValue = notional * (fwdRate - fixedRate) * dt / (1 + fwdRate * dt) * Math.Exp(-t * 0.07);
Assert.AreEqual(refValue, fraValue, 0.01);
}
public static NumeraireSimulator CreateCurveModel([QuantSAExcelArgument(Description = "The discounting curve")]
IDiscountingSource discountCurve,
[QuantSAExcelArgument(Description =
"The floating rate forecast curves for all the rates that the products in the portfolio will need.")]
IFloatingRateSource[] rateForecastCurves,
[QuantSAExcelArgument(Description =
"The FX rate forecast curves for all the cashflow currencies other than the discounting currency.",
Default = null)]
IFXSource[] fxForecastCurves)
{
var model = new DeterministicCurves(discountCurve);
model.AddRateForecast(rateForecastCurves);
if (fxForecastCurves != null)
{
model.AddFXForecast(fxForecastCurves);
}
return(model);
}
